- The RPV factor (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight information, dividing price-volume into four quadrants, and leveraging monthly IC averages to identify reversal and momentum effects. It incorporates "volume" information into the correlation form, finding optimal representatives for intraday and overnight price-volume correlations and completing information integration. This factor is designed to enhance the effectiveness of price-volume correlation in stock selection [6][1][7] - The SRV factor (Smart Correlation of Price and Volume) refines intraday price movements by splitting them into morning and afternoon changes, calculating minute-level "smart" indicators, and identifying the 20% of afternoon minutes with the highest "smart" indicator values as the most informed trading periods. It uses the correlation between afternoon "smart" turnover rate and afternoon price changes. For overnight price-volume correlation, it replaces turnover rate with the turnover rate of the last half-hour of the previous day, which has a higher proportion of informed trading. The SRV factor combines the more effective intraday and overnight price-volume correlation factors into a composite factor [6][1][7] - The RPV factor achieved an annualized return of 14.29%, annualized volatility of 7.66%, IR of 1.87, monthly win rate of 72.54%, and maximum drawdown of 10.63% during the backtesting period from January 2014 to November 2025 [7][10][1] - The SRV factor achieved an annualized return of 17.03%, annualized volatility of 6.47%, IR of 2.63, monthly win rate of 74.65%, and maximum drawdown of 3.93% during the backtesting period from January 2014 to November 2025 [7][10][1] - In November 2025, the RPV factor's 10-group long portfolio had a return of -0.23%, the short portfolio had a return of -0.47%, and the long-short portfolio had a return of 0.24% [10][1][11] - In November 2025, the SRV factor's 10-group long portfolio had a return of 0.19%, the short portfolio had a return of -0.44%, and the long-short portfolio had a return of 0.63% [10][1][11]

- The RPV factor (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight price-volume correlation information, leveraging the reversal and momentum effects of price-volume relationships. It uses the monthly IC mean to identify the optimal representation of intraday and overnight correlations, combining them into a single factor[6][7][11] - The SRV factor (Smart Correlation of Price and Volume) refines intraday price movements by splitting them into morning and afternoon changes, calculating "smart" indicators for the afternoon session. It identifies the most informed trading periods and uses the turnover rate during these periods. For overnight correlations, it replaces turnover rate with the turnover rate of the last half-hour of the previous day, combining the best-performing intraday and overnight factors into a single SRV factor[6][7][11] - The RPV factor achieved an annualized return of 14.38%, annualized volatility of 7.68%, IR of 1.87, monthly win rate of 72.34%, and maximum drawdown of 10.63% during the backtest period from January 2014 to October 2025[7][10] - The SRV factor outperformed the RPV factor with an annualized return of 17.10%, annualized volatility of 6.49%, IR of 2.64, monthly win rate of 74.47%, and maximum drawdown of 3.93% during the same backtest period[7][10] - In October 2025, the RPV factor's 10-group long portfolio achieved a return of 2.08%, the short portfolio returned -0.15%, and the long-short portfolio returned 2.23%. The SRV factor's 10-group long portfolio achieved a return of 2.32%, the short portfolio returned 0.68%, and the long-short portfolio returned 1.64%[10][11]

Quantitative Factors and Construction - **Factor Name**: Renewed Correlation of Price and Volume (RPV) **Construction Idea**: The RPV factor integrates intraday and overnight price-volume correlation information, leveraging the reversal and momentum effects of price-volume relationships. It incorporates "volume" information into correlation metrics to enhance factor effectiveness [6][1][7] **Construction Process**: 1. Identify the best representatives for intraday and overnight price-volume correlations: CCOIV (intraday) and COV (overnight) [6] 2. Enhance reversal effects using turnover rate sequences for intraday price-volume correlation [6] 3. Strengthen overnight momentum effects by incorporating "yesterday's volume" into overnight price-volume relationships [6] 4. Combine intraday and overnight correlation information into a unified factor, RPV, to serve a single objective [6] **Evaluation**: The RPV factor is described as "novel and effective," capable of capturing both reversal and momentum effects in price-volume relationships [1][6] - **Factor Name**: Smart Renewed Correlation of Price and Volume (SRV) **Construction Idea**: The SRV factor refines intraday price-volume correlation by splitting daily price movements into morning and afternoon segments, and incorporates "smart" turnover metrics to identify informed trading periods. It combines improved intraday and overnight correlation metrics for enhanced performance [1][6][7] **Construction Process**: 1. Split daily price movements into morning and afternoon segments [1][6] 2. Calculate "smart" metrics for afternoon trading, identifying the top 20% (24 minutes) of informed trading periods [1][6] 3. Use "smart turnover rate" and afternoon price movements to compute intraday correlation [1][6] 4. Replace turnover rate with the last 30-minute turnover rate of the previous day for overnight correlation [1][6] 5. Combine the refined intraday and overnight correlation metrics into the SRV factor [1][6] **Evaluation**: The SRV factor is considered superior to RPV, with better performance metrics and lower drawdowns [1][6] Factor Backtesting Results - **RPV Factor**: - Annualized Return: 14.17% [7][10] - Annualized Volatility: 7.73% [7][10] - IR: 1.83 [7][10] - Monthly Win Rate: 71.94% [7][10] - Maximum Drawdown: 10.63% [7][10] - **SRV Factor**: - Annualized Return: 16.89% [7][10] - Annualized Volatility: 6.51% [7][10] - IR: 2.59 [7][10] - Monthly Win Rate: 74.10% [7][10] - Maximum Drawdown: 3.87% [7][10] August Performance Results - **RPV Factor**: - Long Portfolio Return: 7.29% [10][11] - Short Portfolio Return: 8.88% [10][11] - Long-Short Portfolio Return: -1.59% [10][11] - **SRV Factor**: - Long Portfolio Return: 7.55% [10][11] - Short Portfolio Return: 8.78% [10][11] - Long-Short Portfolio Return: -1.23% [10][11]

- The RPV factor (Renewed Correlation of Price and Volume) integrates intraday and overnight information by dividing price-volume into four quadrants. It leverages monthly IC averages to identify reversal and momentum effects. The factor incorporates "volume" information in correlation form, optimizing intraday and overnight price-volume relationships to create a robust selection factor[6][1][7] - The SRV factor (Smart Renewed Volume) splits intraday price movements into morning and afternoon segments, calculating minute-level "smart" indicators. It identifies the 20% of afternoon minutes with the highest "smart" indicator values as informed trading periods. The factor uses turnover rates during these periods and replaces overnight turnover rates with the last 30-minute turnover rate of the previous day, combining the best-performing intraday and overnight price-volume correlation factors[6][1][7] - The RPV factor achieved an annualized return of 14.44%, annualized volatility of 7.71%, IR of 1.87, monthly win rate of 72.46%, and maximum drawdown of 10.63% during the backtest period from January 2014 to July 2025[7][10] - The SRV factor achieved an annualized return of 17.15%, annualized volatility of 6.49%, IR of 2.64, monthly win rate of 74.64%, and maximum drawdown of 3.74% during the backtest period from January 2014 to July 2025[7][10] - In July 2025, the RPV factor's 10-group long portfolio returned 5.18%, the short portfolio returned 5.58%, and the long-short portfolio returned -0.39%[10] - In July 2025, the SRV factor's 10-group long portfolio returned 5.66%, the short portfolio returned 5.81%, and the long-short portfolio returned -0.15%[10]

- The **RPV factor** (Renewed Correlation of Price and Volume) is constructed by integrating intraday and overnight price-volume correlation information. It identifies the reversal and momentum effects of price-volume correlation through monthly IC averages. The factor incorporates "volume" information in the form of correlation, finding optimal representatives for intraday and overnight price-volume correlations, and combines them to create the RPV factor[6][7][10] - The **SRV factor** (Smart Renewed Volume) refines the RPV factor by splitting intraday price changes into morning and afternoon segments. It calculates a "smart" indicator for the afternoon, identifying the 20% of time intervals with the highest informed trading activity. The factor uses the correlation between the afternoon "smart" turnover rate and price changes. For overnight correlations, it replaces the turnover rate with the turnover rate of the last 30 minutes of the previous day, which has a higher proportion of informed trading. The SRV factor combines the improved intraday and overnight correlations into a single factor[6][7][10] - The **RPV factor** achieved an annualized return of 14.57%, annualized volatility of 7.73%, IR of 1.89, a monthly win rate of 72.99%, and a maximum drawdown of 10.63% during the backtest period from January 2014 to June 2025[7][10] - The **SRV factor** outperformed the RPV factor with an annualized return of 17.28%, annualized volatility of 6.50%, IR of 2.66, a monthly win rate of 75.18%, and a maximum drawdown of 3.74% during the same backtest period[7][10]